On the tail mean-variance optimal portfolio selection
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Publication:659265
DOI10.1016/j.insmatheco.2010.02.001zbMath1231.91407OpenAlexW2166353927MaRDI QIDQ659265
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.02.001
tail varianceoptimal portfolio selectionvariance modelelliptical familyquartic equationsquare root of quadratic functionaltail condition expectationtail mean
Related Items (16)
Tail conditional moments for elliptical and log-elliptical distributions ⋮ Minimization of a function of a quadratic functional with application to optimal portfolio selection ⋮ RISK MANAGEMENT OF FINANCIAL CRISES: AN OPTIMAL INVESTMENT STRATEGY WITH MULTIVARIATE JUMP-DIFFUSION MODELS ⋮ Multivariate doubly truncated moments for a class of multivariate location-scale mixture of elliptical distributions ⋮ Classical and Bayesian inference of the weighted-exponential distribution with an application to insurance data ⋮ Asymptotic results on tail moment and tail central moment for dependent risks ⋮ Tail variance allocation, Shapley value, and the majorization problem ⋮ Optimal capital allocation for individual risk model using a mean-variance principle ⋮ A characterization of optimal portfolios under the tail mean-variance criterion ⋮ Comparing tail variabilities of risks by means of the excess wealth order ⋮ Tail variance of portfolio under generalized Laplace distribution ⋮ Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure ⋮ Optimal capital allocation based on the tail mean-variance model ⋮ Stochastic comparisons of distorted variability measures ⋮ A Black–Litterman asset allocation model under Elliptical distributions ⋮ The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution
Cites Work
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- An approach to nonlinear programming
- Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
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- Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
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- Semi-parametric modelling in finance: theoretical foundations
- The quartic equation: alignment with an equivalent tetrahedron
- Tail Conditional Expectations for Exponential Dispersion Models
- Tail Conditional Expectations for Elliptical Distributions
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